Out Of Bounds

I was just wondering a few weeks ago I hit my Ball OB once can I take a drop from where it went OB or do I have to play the shot again?

If you think your ball went OB, to save time it is best to say "I am hitting a provisional ball." and hit a ball from where you hit the first ball before you go look. OB is pretty easy to figure out. That way if your ball went out and even if you find it you pick up and hit the provisional. If it didn't, you play it and pick up the provisional.

Under the rules you have to go back to the place you played the shot and hit again with an additional penalty stroke.  So if it was your tee shot, you would go back to the tee and hit again.  And that would be your third shot.  Of course, as @DrvFrShow mentioned, if you think your tee shot **might** be out of bounds you can hit a provisional ball (announce it first) before you leave the tee in the first place (etiquette says that you let your playing partners hit their tee shots before you hit your provisional).  Then if the initial shot IS out of bounds you play the provisional, which is now the ball in play, lying three.

Additionally, note that if you hit a poor shot with your provisional, you don't have to go forward to check on your original ball and then come back to hit your provisional.  You can continue to hit the provisional until it reaches a spot that is the same or nearer the hole where your original ball was likely to have gone out.  Then go search for your original ball.  If you find that your original ball is out-of-bounds or you are unable to locate it within 5 minutes, the provisional becomes your ball in play and you add whatever strokes you made with it to your original tee shot + 1 penalty stroke.

Right. And for clarity's sake because beginners tend to misunderstand how penalties for stroke and distance work (I know I did): if you hit another ball because it went OB or whatever, you count the original, add a penalty stroke, count the redo. So the next shot you hit (let's say from the fairway if this was a tee shot) of your redo is your fourth.

And if you hit your provisional short, and for the sake of pace of play (should announce it first just in case someone is really going to try to make your life miserable), you can hit your provisional, but if you find your original is NOT OB, you must abandon your shots with your provisional and play your original ball.

I had this happen where we "lost" my tee shot - I really clobbered it. So I hit a provisional which ended up short. I played the provisional and hit my 8 iron onto the green. On the way to the green in the rough about another 100 yds down we saw a little white thing with a blue stripe and a red flower on it that said Callaway. So I had to abandon my provisional play and play my original which was now 35 yds  from the flag and proceeded to skull it over the green and onto the far cart path.